Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0037 |
| Annualized Std Dev | 0.2878 |
| Annualized Sharpe (Rf=0%) | 0.0128 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5585.0000 |
| NAs | 1.0000 |
| Minimum | -0.2900 |
| Quartile 1 | -0.0065 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0002 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0072 |
| Maximum | 0.2780 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0003 |
| UCL Mean (0.95) | 0.0007 |
| Variance | 0.0003 |
| Stdev | 0.0181 |
| Skewness | -0.0298 |
| Kurtosis | 34.2479 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0130 |
| Gain Deviation | 0.0143 |
| Loss Deviation | 0.0150 |
| Downside Deviation (MAR=210%) | 0.0172 |
| Downside Deviation (Rf=0%) | 0.0129 |
| Downside Deviation (0%) | 0.0129 |
| Maximum Drawdown | 0.8012 |
| Historical VaR (95%) | -0.0247 |
| Historical ES (95%) | -0.0430 |
| Modified VaR (95%) | -0.0173 |
| Modified ES (95%) | -0.0173 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-02-06 | 2009-03-09 | NA | -0.8012 | 3556 | 526 | NA |
| 1999-01-21 | 1999-12-08 | 2001-06-07 | -0.2876 | 598 | 223 | 375 |
| 2004-04-01 | 2004-05-10 | 2004-12-09 | -0.2359 | 175 | 27 | 148 |
| 2005-08-02 | 2006-05-22 | 2006-12-01 | -0.2063 | 338 | 203 | 135 |
| 2001-08-13 | 2001-09-20 | 2002-05-09 | -0.2000 | 183 | 24 | 159 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | -0.9 | 3 | -0.5 | -0.9 | 0.5 | 0 | -0.5 | 2.1 | 2.8 | 0 | 0 | -0.6 | 4.9 |
| 2000 | -1.7 | -0.6 | 0 | 3.4 | 1.6 | 1.6 | 0 | -1 | 0 | 2.7 | 1.1 | 1.1 | 8.3 |
| 2001 | -0.2 | -0.2 | 0.7 | 0.2 | 3 | -0.7 | 0.1 | 0.6 | 3.5 | 1.9 | 2 | 0.8 | 12.3 |
| 2002 | -0.3 | -0.6 | -0.4 | -0.1 | 1 | -1 | 1 | 1.1 | 0.7 | 0.1 | 1.8 | 0.6 | 4 |
| 2003 | 1.1 | 1.2 | 0.1 | 0.9 | 1 | 0.4 | -0.6 | 0.3 | 0.6 | -0.2 | 0.4 | 1.8 | 7.2 |
| 2004 | -0.7 | 1.1 | -0.6 | 0.3 | 0.5 | 1.2 | 0.2 | 1.8 | 2 | 0.7 | 0.9 | 1.3 | 8.9 |
| 2005 | -0.3 | 0.7 | -0.7 | 0 | -0.2 | 0.9 | 1 | 1.4 | 0.5 | -1.1 | 1.4 | -0.3 | 3.4 |
| 2006 | 0.4 | 0.6 | 0.2 | 0.3 | 2 | 0.9 | 0.6 | 0.7 | 0.1 | -0.1 | 0.6 | 0.8 | 7.3 |
| 2007 | 0.6 | -0.5 | 0.1 | -0.3 | 0.1 | -0.6 | 0.2 | 2 | 0.7 | -2.5 | 2 | 0.8 | 2.5 |
| 2008 | 4.1 | -3.2 | 0.9 | 0.6 | -0.8 | -0.9 | 0.1 | 2.7 | 3.5 | 1.5 | 0 | 4.3 | 13.3 |
| 2009 | -2.8 | -2.5 | 0.5 | -3.8 | 3.6 | 4 | 4.3 | -3.5 | -2.6 | -3.4 | 1.7 | -0.6 | -5.5 |
| 2010 | 2.2 | 0.7 | 1.8 | -1.9 | -1.8 | -0.7 | 0.2 | 2.6 | 0.6 | 0.7 | -1.6 | 1.4 | 4.2 |
| 2011 | 0.4 | -1.4 | 0.2 | 0 | -1.9 | 0.4 | 0.4 | -1.1 | -0.3 | -0.4 | -1.7 | 0.3 | -4.8 |
| 2012 | 2 | -0.4 | 0.2 | -0.1 | -1.2 | 2.2 | 0.9 | 0 | -2.5 | 0.7 | 0.2 | 2.2 | 4.1 |
| 2013 | -0.4 | 1.5 | 0.3 | 0.5 | -1.4 | -0.7 | -0.8 | -1.1 | 1.3 | 0.2 | -0.9 | 1.9 | 0.2 |
| 2014 | 0.5 | 1.2 | 1.6 | 0 | 0.2 | 0.5 | -0.3 | 0.2 | 0.1 | 1.2 | -0.9 | -0.3 | 4 |
| 2015 | -1.4 | 0.5 | 0.5 | 0.4 | 0.2 | 2.3 | 1 | -1.5 | 2.3 | 0 | 0.7 | 0.1 | 5.2 |
| 2016 | 1.2 | 1.8 | -0.4 | 0.2 | -0.3 | 1.3 | 0.1 | 0.1 | 0.3 | -1.7 | -1 | 1 | 2.5 |
| 2017 | -0.5 | 0.2 | 0 | 0.9 | 0.5 | -0.1 | 0.9 | -0.3 | -0.2 | 0.6 | 0.4 | 1.3 | 3.6 |
| 2018 | -1.2 | 0.4 | 0.7 | 0.8 | 0.6 | -0.6 | 0.4 | -0.1 | -0.2 | 0.2 | 1 | 0 | 2.1 |
| 2019 | -0.6 | 0.1 | 0.2 | 1.4 | 1.6 | 0.6 | -0.4 | 0 | -0.5 | 0.3 | 2.1 | 0.7 | 5.5 |
| 2020 | 2.1 | -3.6 | -6.2 | -2.3 | 7.5 | 4.1 | -0.4 | -1.5 | 1.8 | -0.8 | 2.9 | 1.5 | 4.5 |
| 2021 | 1.6 | 1 | -0.2 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 2.4 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
